A few videos of rocket launch failures
M-69: The Proton is actually one of the most reliable modern vehicles, but it had a few problems in its early days. The M-69 Mars orbiter was an unfortunately loss for the Russians. It could have been the first artificial Mars satellite and returned the first half-way decent photos of the planet's surface. And 1 kiloton of rocket fuel makes for an explosion comparable to a tactical nuke.
Delta II: The loss of the GPS-2 satellite in a Delta-II launch failure. This is the original footage, not very high resolution, but it lacks the exagerated fake effects added in another popular video of the event.
Long-March: Failure of a Chinese Long-March rocket. Sorry I could not edit the audio, which is cranked up so high it is mostly clipped. Turn down the volume on this one.
Soyuz Foton: Soyuz failure during launch of Foton satellite. Gives a good sense of the panic among some European tourists who were standing pretty close to the pad. Some colorful but appropriate language.